Generating Index with Navigation with Document Generation

With Nintex in O365 when utilising Document Generation is there a way to merge multiple word documents and generate an Index with navigation?

Word provides this functionality, if all the content is held within a single document, but in this case I'm merging a number of documents. This is quite long, and navigation is very cumbersome with scrolling.

I have entered all my headings using words inbuilt "Heading 1", and added an index to the root document in the hope that word would intelligently pick these up, but it doesn't.